A generalised Student’s t-distribution

Ioannis Papastathopoulos and Jonathan A. Tawn

Statistics & Probability Letters, 2013, vol. 83, issue 1, 70-77

Abstract: We introduce a natural extension of the Student’s t-distribution that also allows for a negative shape parameter or more commonly referred to as the degrees of freedom of this distribution. This distribution unifies all types of tail decay and allows extra flexibility in the kurtosis of the t-distribution. We illustrate the use of this distribution with an application to pharmaceutical data.

Keywords: Generalised t-distribution; Symmetric short-tailed; Shape parameter; Liver toxicity (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2012.09.002

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